Results 111 to 120 of about 1,833 (248)

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, EarlyView.
ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley   +1 more source

Approximation properties by Schurer type q-Kantorovich–Stancu shifted knots operators

Journal of Inequalities and Applications
We design the Schurer type Kantorovich–Stancu operators by using shifted knots in the quantum calculus. We obtain the convergence and other related approximation properties of these operators.
Abdullah Alotaibi
doaj   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

Sensitivity analysis for generalized estimating equation with non‐ignorable missing data

Scandinavian Journal of Statistics, EarlyView.
Abstract Many incomplete‐data statistical inference procedures are developed under the missing at random (MAR) assumption. However, the MAR assumption has been criticized as being overly strong for real‐data problems, and is unverifiable by using observed data. To handle data that are missing not at random (MNAR), sensitivity analysis has been proposed
Hui Gong, Kin Wai Chan
wiley   +1 more source

Lifts of continuous and Hölder alpha curves in the configuration space MN/SN$M^N/S_N$

Transactions of the London Mathematical Society, Volume 13, Issue 1, December 2026.
Abstract In this paper, we study the quotient space X=MN/SN$X = M^N / S_N$ of equivalence classes of N$N$‐tuples in a metric space (M,dM)$(M, d_M)$, equipped with the metric induced by the minimal total pairing distance. Given a continuous path F:(0,1)→X$F: (0,1) \rightarrow X$, we prove that there exist continuous functions f1,⋯,fN:(0,1)→M$f_1, \dots,
Charles L. Fefferman, Achilleas Vasileios Koukas, Jiayu (Jerry) Liu, Tadael Hailemelekot Mequanent   +3 more
wiley   +1 more source

Degree theory for 4‐dimensional asymptotically conical gradient expanding solitons

Communications on Pure and Applied Mathematics, Volume 79, Issue 5, Page 1151-1298, May 2026.
Abstract We develop a new degree theory for 4‐dimensional, asymptotically conical gradient expanding solitons. Our theory implies the existence of gradient expanding solitons that are asymptotic to any given cone over S3$S^3$ with non‐negative scalar curvature. We also obtain a similar existence result for cones whose link is diffeomorphic to S3/Γ$S^3/\
Richard H. Bamler, Eric Chen
wiley   +1 more source

Isoperimetric inequalities on slabs with applications to cubes and Gaussian slabs

Communications on Pure and Applied Mathematics, Volume 79, Issue 4, Page 1012-1072, April 2026.
Abstract We study isoperimetric inequalities on “slabs”, namely weighted Riemannian manifolds obtained as the product of the uniform measure on a finite length interval with a codimension‐one base. As our two main applications, we consider the case when the base is the flat torus R2/2Z2$\mathbb {R}^2 / 2 \mathbb {Z}^2$ and the standard Gaussian measure
Emanuel Milman
wiley   +1 more source

Advection‐Pressure Splitting Schemes Applied to a Non‐Conservative 1D Blood Flow Model With Transport for Arteries and Veins

International Journal for Numerical Methods in Fluids, Volume 98, Issue 4, Page 398-432, April 2026.
We introduce new efficient and accurate first order finite volume‐type numerical schemes, for the non‐conservative one‐dimensional blood flow equations with transport, taking into account different velocity profiles. The framework is the flux‐vector splitting approach of Toro and Vázquez‐Cendón (2012), that splits the system in two subsystems of PDEs ...
Alessandra Spilimbergo, Eleuterio F. Toro, Annunziato Siviglia, Lucas O. Müller   +3 more
wiley   +1 more source

Agents' Behavior and Interest Rate Model Optimization in DeFi Lending

Mathematical Finance, Volume 36, Issue 2, Page 374-396, April 2026.
ABSTRACT Contrasting sharply with traditional money, bond, and bond futures markets, where interest rates emerge organically from participant interactions, DeFi lending platforms employ rule‐based interest rates that are algorithmically set. Thus, the selection of an effective interest rate model (IRM) is paramount for the success of a lending protocol.
Charles Bertucci, Louis Bertucci, Mathis Gontier Delaunay, Olivier Guéant, Matthieu Lesbre   +4 more
wiley   +1 more source

Macroscopic Market Making Games

Mathematical Finance, Volume 36, Issue 2, Page 352-373, April 2026.
ABSTRACT Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the others. We begin with the linear case.
Ivan Guo, Shijia Jin
wiley   +1 more source